Indexes of U.S. Stock Prices from 1802 to 1987

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Expected stock returns and volatility

1987 • 4,291 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

The Adjustment of Stock Prices to New Information

2003 • 3,268 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 2,117 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Stock return variances

1986 • 1,878 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Are Seasonal Anomalies Real? A Ninety-Year Perspective

1988 • 1,148 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Studies in the Theory of Capital Markets.

1973 • 1,060 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

An econometric analysis of nonsynchronous trading

1990 • 828 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

ON THE ASSESSMENT OF RISK

1971 • 736 citations

Some New Stock-Market Indexes

1966 • 558 citations

Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence

1991 • 488 citations

Spurious Volatility in Historical Unemployment Data

1986 • 325 citations

THE DISTRIBUTION OF THE RATIO, IN A SINGLE NORMAL SAMPLE, OF RANGE TO STANDARD DEVIATION

1954 • 324 citations

Estimating Missing Observations in Economic Time Series

1984 • 318 citations

Is the Stabilization of the Postwar Economy a Figment of the Data

2016 • 255 citations

The Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856.

1939 • 213 citations

Stocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974)

1976 • 205 citations

On the current state of the stock market rationality hypothesis

1985 • 136 citations

Fluctuations in American Business 1790-1860.

1936 • 96 citations

Common-stock indexes

1939 • 90 citations

Business Cycles, Financial Crises, and Stock Volatility

1989 • 85 citations

A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85

1987 • 69 citations

The Stabilisation of the Mark.

1928 • 27 citations

The Course of Stock Prices, 1825-66

1928 • 13 citations

The Dow Jones averages 1885-1970

1972 • 7 citations

New York Bank Clearings and Stock Prices, 1866-1914

1926 • 4 citations